Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/68652
Authors: 
Kaufmann, Sylvia
Scheicher, Martin
Year of Publication: 
1996
Series/Report no.: 
Reihe Ökonomie / Economics Series, Institut für Höhere Studien (IHS) 38
Abstract: 
Modelling the growth rate of economic time series with a Markov switching process in their mean and/or their variance allows to take account of two facts that are often encountered in such series, namely that the periods in which each mean is prevailing differ in their duration and that the variance of the time series differ in each period. In a first part, we will motivate the class of regime switching models, and revue the estimating and testing procedures. In the second part, we will present a brief survey of the literature on regime switching models and their applications, and also present first results of actual own research.
Subjects: 
Markov switching
time series
EM-agorithm
empirical processes
macroeconomics
finance
JEL: 
C12
C13
C22
C63
E32
G14
Document Type: 
Working Paper

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